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MATHEMATICS RESEARCH CENTRE

Symposium 2000/2001 September 2000 — August 2001

Stochastic Partial Differential Equations & Related Topics
Organisers: David Elworthy, Andrew Stuart & Roger Tribe
Scientific Committee: Arnaud Debussche, Istvan Gyongy, Mark Freidlin & Nic Krylov
Leverhulme Visiting Professor: Jerzy Zabczyk

 

22nd-26th May 2001
Infinite dimensional models in mathematical finance
Organisers: Jo Kennedy, Roger Tribe, and Jerzy Zabczyk

Provisional Schedule

As an introduction to the talks of the workshop, Rene Carmona will give four lectures on:

Interest rate Models: from parametric statistics to infinte dimensional stochastic analysis.

  • Lecture 1: The Mechanics of the Fixed Income Markets
  • Lecture 2: Analysis of the data, and first mathematical models.
  • Lecture 3: Infinite Dimensional (Stochastic Analysis)
  • Lecture 4: Back to the Interest Rate Models: the Generalized HJM Models
      • Lectures 1/2 - Tuesday 3.00-4.00 and 4.30-5.30 in MI1
      • Lectures 3/4 - Wednesday 3.00-4.00 and 4.30-5.30 in MI1

Main session of talks - all held in GLT1

Thursday 24th May 2001

  • 2.30 - 3.30 Yuri Kabanov I
  • 4.15 - 5.15 Damir Filipovic 1
  • 5.30 - 6.30 Bent Christensen

Friday 25th May 2001

  • 9.30 - 11.00 Rama Cont
  • 11.30 - 12.30 Bernt Oksendall
  • 1.30 - 2.20 Yuri Kabanov II
  • 2.30 - 3.20 Damir Filipovic II
  • 4.00 - 5.00 Chris Rogers (Departmental Colloquium) Monte Carlo valuation of American Options

Saturday 26th May 2001

  • 9.30 - 10.30 Jerzy Zabczyk
  • 11.00 - 12.00 Josef Teichamnn
  • 12.00 - 12.30 Valdo Durlemann
  • 1.30 - 2.30 Saul Jacka
  • 2.45 - 3.45 Marek Musiela

Titles of Talks:

  • Christensen: Infinite dimensional interest rate dynamics, stochastic volatility, yield curve calibration and finite dimensional manifolds.
  • Cont: Term structure dynamics and parabolic SPDEs.
  • Durlemann: Implied correlation and spread options.
  • Filipovic: Consistency problems for Heath-Jarrow-Morton interest rate models.
  • Jacka: No arbitrage for infinite dimensional term structure models
  • Kabanov: T.B.A. (on models with jumps)
  • Musiela: Pricing and risk management of derivatives written on non-traded assets.
  • Oksendall: Optimal control of systems described by SPDEs and applications to optimal consumption and portfolio probelms with partial observation
  • Teichmann: Interest rate models and infinite dimensional geometry - the classification result.
  • Zabczyk: Variational inequalities and applications to optimal stopping.

Please contact Peta McAllister (peta@maths.warwick.ac.uk) if need help in finding accommodation.

The week is supported by LMS and we hope to be able to offer some support visiting academics for travel and accommodation. Please contact Peta for details.

 

For further information contact:

Peta McAllister, Mathematics Research Centre University of Warwick, Coventry CV4 7AL,

Phone: +44 (0)24 7652 4403 Fax: +44 (0)24 7652 4182 E-mail: peta@maths.warwick.ac.uk